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 | 2012 | |
|---|---|---|
| j3 |      | Zisheng Chen, Liming Feng, Xiong Lin: Simulating Lévy Processes from Their Characteristic Functions and Financial Applications. ACM Trans. Model. Comput. Simul. 22(3): 14 (2012) |
| 2011 | ||
| j2 | | Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal: On the solution of complementarity problems arising in American options pricing. Optimization Methods and Software 26(4-5): 813-825 (2011) |
| c1 | | Zisheng Chen, Liming Feng, Xiong Lin: Inverse transform method for simulating Levy processes and discrete Asian options pricing. Winter Simulation Conference 2011: 444-456 |
| 2008 | ||
| j1 | | Liming Feng, Vadim Linetsky: Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. Operations Research 56(2): 304-325 (2008) |
| 1 | Zisheng Chen | |
| 2 | Xiong Lin | |
| 3 | Vadim Linetsky | |
| 4 | José Luis Morales | |
| 5 | Jorge Nocedal |
Colors in the list of coauthors
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